Minimum variance importance sampling via population monte carlo

ESAIM - Probability and Statistics

Volumn 11, Issue , 2007, Pages 427-447

  Douc, R ^a   Guillin, A ^b   Marin, J M ^c   Robert, C P ^d,e  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b Ecole Centrale Marseille   (France)

^c INRIA   (France)

^d UNIVERSITÉ PARIS DAUPHINE   (France)

^e CREST   (France)

Author keywords

Adaptivity; Cox Ingersoll Ross model; Euler scheme; Importance sampling; Mathematical finance; Mixtures; Moderate deviations; Population Monte Carlo; Variance reduction

Indexed keywords

EID: 84996132096     PISSN: 12928100     EISSN: 12623318     Source Type: Journal    
DOI: 10.1051/ps:2007028     Document Type: Article

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